The Investment Company Institute released its latest weekly "Money Market Fund Assets report, as well as its latest monthly "Money Market Fund Holdings" summary (with data as of May 31, 2017), yesterday. The former shows a big drop in Government money fund assets ahead of the June 15 quarterly tax payment date, while the latter explains, "This release reviews the aggregate daily and weekly liquid assets, regional exposure, and maturities (WAM and WAL) for Prime and Government money market funds." J.P. Morgan Securities also released its "Taxable money market fund holdings update: May 2017," which shows shortening and building of repo ahead of this week's Fed hike. We review all three of these new updates below. (See too our June 12 News, "June Money Fund Portfolio Holdings: Repo Rises, Treasuries Drop Again.")
ICI's latest weekly figures show that Prime money market fund assets were flat after rising in 6 of the past 7 weeks. ICI's "Money Market Fund Assets" report shows Prime assets fell by $0.15 billion to $408.2 billion. Year-to-date, Prime assets have increased by $30 billion, or 8.5%.
ICI writes, "Total money market fund assets decreased by $25.03 billion to $2.63 trillion for the week ended Wednesday, June 14, the Investment Company Institute reported today. Among taxable money market funds, government funds decreased by $24.49 billion and prime funds decreased by $150 million. Tax-exempt money market funds decreased by $387 million." Total Government MMF assets, which include Treasury funds too, stand at $2.096 trillion (79.6% of all money funds), while Total Prime MMFs stand at $408.2 billion (15.5%). Tax Exempt MMFs total $129.6 billion, or 4.9%.
They explain, "Assets of retail money market funds decreased by $3.45 billion to $956.96 billion. Among retail funds, government money market fund assets decreased by $3.18 billion to $581.67 billion, prime money market fund assets decreased by $117 million to $251.36 billion, and tax-exempt fund assets decreased by $152 million to $123.94 billion." Retail assets account for over a third of total assets, or 36.3%, and Government Retail assets make up 60.8% of all Retail MMFs.
ICI's release adds, "Assets of institutional money market funds decreased by $21.58 billion to $1.68 trillion. Among institutional funds, government money market fund assets decreased by $21.31 billion to $1.51 trillion, prime money market fund assets decreased by $33 million to $156.83 billion, and tax-exempt fund assets decreased by $234 million to $5.61 billion." Institutional assets account for 63.7% of all MMF assets, with Government Inst assets making up 90.3% of all Institutional MMFs.
The MMF Holdings release says, "The Investment Company Institute (ICI) reports that, as of the final Friday in May, prime money market funds held 27.8 percent of their portfolios in daily liquid assets and 43.4 percent in weekly liquid assets, while government money market funds held 57.7 percent of their portfolios in daily liquid assets and 74.8 percent in weekly liquid assets." Prime DLA rose from 25.2% last month and Prime WLA fell from 43.6% last month."
It continues, "At the end of May, prime funds had a weighted average maturity (WAM) of 32 days and a weighted average life (WAL) of 68 days. Average WAMs and WALs are asset-weighted. Government money market funds had a WAM of 32 days and a WAL of 84 days." Prime WAMs were up one day from the prior month, WALs also rising by one day. Govt WAMs decreased by 3 days and WALs decreased by 3 days as well.
Regarding Holdings By Region of Issuer, ICI's release tells us, "Prime money market funds' holdings attributable to the Americas rose from $160.48 billion in April to $161.62 billion in May. Government money market funds' holdings attributable to the Americas rose from $1,692.32 billion in April to $1,725.73 billion in May."
The Prime Money Market Funds by Region of Issuer table shows Americas-related holdings at $161.6 billion, or 39.6%; Asia and Pacific at $80.0 billion, or 19.6%; Europe at $163.2 billion, or 40.0%; and, Other (including Supranational) at $3.1 billion, or 0.9%. The Government Money Market Funds by Region of Issuer table shows Americas at $1.725 trillion, or 80.8%; Asia and Pacific at $98.0 billion, or 4.6%; and Europe at $309.3 billion, or 14.5%."
J.P. Morgan's latest Holdings update, written by Alex Roever, Teresa Ho and John Iborg, comments, "The month of May was somewhat uneventful in the taxable money market fund space. Prime MMF bank allocations dropped by a modest $5bn during the month, due in large part to reductions in repo exposures in both traditional and non-traditional repo. Exposures to non-bank assets remained steady with the exception of agencies. Agency discount note/coupon holdings fell $3bn."
It adds, "By and large, asset allocations for prime funds have been stable YTD. The same is true for the government MMF complex. In anticipation of the June FOMC meeting, prime and government funds maintained short maturity profiles throughout the month. Prime funds and government funds pulled in their WAMs by 3 days and 4 days, respectively. Once past the Fed meeting, we expect WAMs to extend as funds redeploy cash into longer tenors. Month-over-month, prime MMF AuM rose $6bn or 1.5% while government fund AuM increased by $8bn or 0.4%. YTD, prime fund AuM is up $30bn."
